Does the Greta has the ability to produce the latent factors with mixed-frequency data?

#1

Thanks to Nick and other coders of Greta for this great package.
I’m a new guy to access Greta, and sometimes lose my head when I using it.
My first question here is “Does the Greta has the ability to produce the latent factors with mixed-frequency data?”
E.g. the datasets contain monthly and quarterly, and even annual and daily data.
I have read the handbook but didn’t get the answer.
Could anyone give me a hand?
Many thanks!

#2

I don’t understand what you are asking I’m afraid. Is there a particular statistical model you have in mind? Could you perhaps either write out the statistical notation, or point to a paper or software implementing it?

#3

Hi, Nick!
Thanks for replying!
I’m sorry I didn’t make the question clear.
Let’s say I get some data on GDP(quarterly), interest rate(monthly), and some daily data from the financial market. Could I estimate the latent factor of these data using the Greta package?
I didn’t get the answer from the PDF document.
And thanks for your reply again!

#4

Sorry, I don’t know enough about financial modelling to understand. Could you please point me to a paper or something that describes the model?